Commission Implementing Regulation (EU) 2021/1847 of 14 October 2021 on the designation of a statutory replacement for certain settings of CHF LIBOR (Text with EEA relevance)

1 The following rates are designated as the replacement rates for the CHF LIBOR in references to CHF LIBOR in any contract, and in any financial instrument as defined in Directive 2014/65/EU: (a) 1-month CHF LIBOR is replaced by 1-month SARON compound Rate, as observed over the 1-month period preceding the interest period; (b) 3-month CHF LIBOR is replaced by 3-month SARON Compound Rate, as observed over the 3-month period preceding the interest period; (c) 6-month CHF LIBOR is replaced by 3-month SARON Compound Rate, as observed over the 3-month period preceding the interest period; (d) 12-month CHF LIBOR is replaced by 3-month SARON Compound Rate, as observed over the 3-month period preceding the interest period.

2 A fixed spread adjustment shall be added to the replacement rates designated pursuant to paragraph 1. That fixed spread adjustment shall be equivalent to the spread published for each relevant tenor and calculated on 5 March 2021 as a historical median spread between the CHF LIBOR concerned and the respective SARON compound over a five-year lookback period for each particular term.

3 The replacement rates for CHF LIBOR shall be designated in accordance with the following table: LIBORTENORReplacement RateSpread Adjustment Value (%)CHF1M SARON 1 month Compound Rate (SAR1MC) ISIN CH0477123886 -0,0571CHF3M SARON 3 month Compound Rate (SAR3MC) ISIN CH0477123902 0,0031CHF6M SARON 3 month Compound Rate (SAR3MC) ISIN CH0477123902 0,0741CHF12M SARON 3 month Compound Rate (SAR3MC) ISIN CH0477123902 0,2048

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. This Regulation shall apply as of 1 January 2022.